Archive for January, 2011

This is what we said on 7 Dec “This may seem hard to believe, but both TLV and BRD are the best potential outperformers according to the latest pair grid. This is in sharp contrast to the other two financial companies viz. BVB and BRK. The brokerage major and the listed stock exchange company are both the top ranked performers and hence the most expensive in the list of 54 assets we cover in Alpha Romania. We continue to look at an underperformance in BRK and BVB and would reduce it in our Rieki portfolio. We anticipated outperformance in BRD and TLV and will increase the allocations for the respective stocks. The Pair grid carries the best with the worst. ”

BRD is up 25% since 7 Dec, while TLV is up 15%. This was a clear example of how performance cycles work. The worst outperforms and the best underperforms.

In the latest report we have illustrated Jiseki performance cycles for individual stocks and also for the pair between BRD and TLV. Both BRD and TLV are still positive on performance cycles. Among BRD- TLV (Fig. 3), BRD is still outperforming TLV and is up 25% against TLV since July.

We have updated the latest Alpha Early Economic with other financial majors and BETFI.

Enjoy the latest Alpha Early Economic Update.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Robert Shiller was not only one of the few to challenge the efficient market theory, as early as 1981 he was also the first to connect fundamental data with market data.

His paper on ‘The Volatility of Stock markets Prices’ published in 1987 uses dividend data and real interest rates to seek evidence that true investment value changes through time sufficiently to justify the price changes. His paper concluded that most of the volatility of the stock market prices appears unexplained.

Shiller’s volatility or fluctuations prove that behavior of markets is not normal. Non normal distribution series is a widely followed proof of inefficiency in prices. He illustrated his fluctuation case (Fig. 2) where he plotted the fluctuations of market prices compared to a fundamental value. The fluctuation in real market were simply too large to explain.

Robert Shiller was not only one of the few to challenge the efficient market theory, as early as 1981 he was also the first to connect fundamental data with market data.

His paper on ‘The Volatility of Stock markets Prices’ published in 1987 uses dividend data and real interest rates to seek evidence that true investment value changes through time sufficiently to justify the price changes. His paper concluded that most of the volatility of the stock market prices appears unexplained.

Shiller’s volatility or fluctuations prove that behavior of markets is not normal. Non normal distribution series is a widely followed proof of inefficiency in prices. He illustrated his fluctuation case (Fig. 2) where he plotted the fluctuations of market prices compared to a fundamental value. The fluctuation in real market were simply too large to explain.

The market bias continues to be negative now that Nifty broke previous lows and pushed lower in what seems to be a third impulsive wave down. This is the time when shorts deliver. We reviewed the short portfolio we carried at the beginning of the month, closed the old positions barring Tata Motors and added three new ones: Nifty, Orchid and HCL Tech. The cases for the four open positions are updated on SLIDE 2.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Coverage India: BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

Both RSI structures are non-confirming and suggest a potential minor reversal here. Cadila Healthcare seems to be completing a minor impulse up and the subminor structure looks like a Head and Shoulders reversal pattern which has already broken the neckline. Our first targets lie at 800 levels in the subminor case and 750 levels (previous fourth supports) on minor. Orchid Chemicals’ minor structure looks like a potential corrective Flat with a pending impulsive C wave down till key supports at 235-220 levels.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Coverage India: BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

This week we are introducing JISEKI minor rankings. These rankings will suggest top performers and underperformers for a minor (for a few trading days). The idea of performance cycle suggests that top outperformers should underperform and vice versa irrespective of any holding period. Looking at two degrees of time frame can assist in forming short term trading outlook on various currency pairs.

The latest Alpha forex juxtaposes both minor and intermediate rankings. Because the holding period is different there is a high chance that top performers on minor (few trading days) might be different from the ones on a larger intermediate (multi week time frames). In case markets are ready for inflexion there is a high chance that both minor and intermediate Jiseki might also coincide.

Though Minor Jiseki has all of CAD, GBP and EUR at highs, GBPUSD is a top performer on both minor and intermediate. This suggests that GBPUSD is the most likely to potentially underperform ahead. While Pro Share Dollar Bullish fund is the worst performer and hence the best potential outperformer for both a few trading days and multi weeks ahead.We have also carried the Elliott, technical updates and Rieki performance cycles to confirm our view.

Enjoy the latest report

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Time Analytics research products.

Jyoti Nangrani, CMT (Chartered Market Technician) from the Market Technicians Association. She has 5 years of experience in Technical Analysis covering Equity and Commodity markets. She holds a Masters diploma in E-Business and is currently pursuing the MS Finance from ICFAI, Hyderabad. She is a Technical Analyst at Finquest Securities Pvt Ltd on the Institutional Desk. She worked as a part of the core strategy team at Tower Capital devising CRM and MIS systems for Debt/Equity and Commodity divisions. She is passionate about Technical Analysis and considers it an extremely valuable skill in current times. Jyoti covers Forex in her weekly columns.

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.